Liquidity Risk Rating for Commercial Banks and its Empirical Study

Author

Liu, Yan ; An, Huilin ; Gong, Changliang

Author_Institution

Sch. of Manage., Dalian Univ. of Technol., Dalian, China

Volume

1

fYear

2010

fDate

26-28 Nov. 2010

Firstpage

322

Lastpage

325

Abstract

A new index system of commercial bank liquidity stress testing is set up after cluster analysis of R type. And then the index weight is determined by entropy method. Commercial bank liquidity risk is rated. Taking 14 listed banks for example, rating liquidity risk. The innovative feature of this paper: Firstly, observable indices replace unobservable ones, it is feasible for banks to ensure liquidity risk assessment, Secondly, R cluster analysis is used to delete the correlations among indexes, avoiding repetition and cumbersome of indices, Thirdly, size of different coefficient, which determined by entropy method, reflects liquidity risk assessment of key factors, lastly, the results show that the method is effectively.

Keywords

banking; entropy; pattern clustering; risk management; statistical analysis; stress analysis; cluster analysis; commercial bank liquidity stress testing; entropy method; index system; index weight; liquidity risk rating; clustering analysis; entropy method; index selection; liquidity risk;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering (ICIII), 2010 International Conference on

Conference_Location

Kunming

Print_ISBN

978-1-4244-8829-2

Type

conf

DOI

10.1109/ICIII.2010.83

Filename

5694412